Vanguard 500 Index Fund Investor Shares

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:- Looking at the total return of 76.8% in the last 5 years of Vanguard 500 Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (77.4%)
- Looking at total return in of 42.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (43.3%).

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the annual return (CAGR) of 12.1% of Vanguard 500 Index Fund is greater, thus better.
- Looking at compounded annual growth rate (CAGR) in of 12.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (12.7%).

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:- The volatility over 5 years of Vanguard 500 Index Fund is 19.4%, which is larger, thus worse compared to the benchmark SPY (19%) in the same period.
- Looking at volatility in of 22.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22%).

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Applying this definition to our asset in some examples:- Looking at the downside risk of 14.1% in the last 5 years of Vanguard 500 Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.9%)
- Looking at downside volatility in of 16.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.2%).

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of 0.49 in the last 5 years of Vanguard 500 Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.51)
- Looking at risk / return profile (Sharpe) in of 0.45 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.46).

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Which means for our asset as example:- Compared with the benchmark SPY (0.7) in the period of the last 5 years, the excess return divided by the downside deviation of 0.68 of Vanguard 500 Index Fund is smaller, thus worse.
- Looking at excess return divided by the downside deviation in of 0.62 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.63).

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:- Compared with the benchmark SPY (5.87 ) in the period of the last 5 years, the Ulcer Index of 5.89 of Vanguard 500 Index Fund is higher, thus worse.
- During the last 3 years, the Downside risk index is 7.04 , which is larger, thus worse than the value of 7.01 from the benchmark.

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:- Looking at the maximum DrawDown of -33.8 days in the last 5 years of Vanguard 500 Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum reduction from previous high in of -33.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Which means for our asset as example:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 139 days of Vanguard 500 Index Fund is higher, thus worse.
- During the last 3 years, the maximum days under water is 139 days, which is larger, thus worse than the value of 139 days from the benchmark.

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Using this definition on our asset we see for example:- Looking at the average days below previous high of 38 days in the last 5 years of Vanguard 500 Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (37 days)
- Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 44 days is lower, thus better.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard 500 Index Fund are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.